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Research output: Working paper
Research output: Working paper
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TY - UNPB
T1 - THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS
AU - Miescu, Mirela Sorina
AU - Motta, Giorgio
AU - Pontiggia, Dario
AU - Rossi, Raffaele
PY - 2023/10/17
Y1 - 2023/10/17
N2 - This paper studies the macroeconomic effects of exogenous changes in housing credit supply. We identify the credit supply shock with a narrative dataset within a Factor-Augmented VAR. We find that a housing credit supply shock is expansionary in the housing sector, the financial markets as well as on main macroeconomic indicators. A one percent increase in the housing credit supply expands Industrial Production up to 1.4 percent and reduces the unemployment rate by 0.4 percentage points.We show that controlling for missing information and anticipation effects is crucial for evaluating the transmission mechanism of housing credit supply shocks on the macroeconomy.
AB - This paper studies the macroeconomic effects of exogenous changes in housing credit supply. We identify the credit supply shock with a narrative dataset within a Factor-Augmented VAR. We find that a housing credit supply shock is expansionary in the housing sector, the financial markets as well as on main macroeconomic indicators. A one percent increase in the housing credit supply expands Industrial Production up to 1.4 percent and reduces the unemployment rate by 0.4 percentage points.We show that controlling for missing information and anticipation effects is crucial for evaluating the transmission mechanism of housing credit supply shocks on the macroeconomy.
KW - Credit Supply Shocks
KW - Mortgage Markets
KW - Factor Augmented VAR
M3 - Working paper
T3 - Economics Working Papers Series
BT - THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS
PB - Lancaster University, Department of Economics
CY - Lancaster
ER -